Book Description

The dramatic, definitive account of the most spectacular economic meltdown of modern times exposes the dangerous flaws of our global financial system.

In the 1990s, few countries were more lionized than Argentina for its efforts to join the club of wealthy nations. Argentina's policies drew enthusiastic applause from the IMF, the World Bank and Wall Street. But the club has a disturbing propensity to turn its back on arrivistes and cast them out. That was what happened in 2001, when Argentina suffered one of the most spectacular crashes in modern history. With it came appalling social and political chaos, a collapse of the peso, and a wrenching downturn that threw millions into poverty and left nearly one quarter of the workforce unemployed.

Paul Blustein, whose book about the IMF, The Chastening, was called "gripping, often frightening" by The Economist and lauded by the Wall Street Journal as "a superbly reported and skillfully woven story," now gets right inside Argentina's rise and fall in a dramatic account based on hundreds of interviews with top policymakers and financial market players as well as reams of internal documents. He shows how the IMF turned a blind eye to the vulnerabilities of its star pupil, and exposes the conduct of global financial market players in Argentina as redolent of the scandals-like those at Enron, WorldCom and Global Crossing- that rocked Wall Street in recent years. By going behind the scenes of Argentina's debacle, Blustein shows with unmistakable clarity how sadly elusive the path of hope and progress remains to the great bulk of humanity still mired in poverty and underdevelopment. ... Read more

Book Description

The Twelfth Edition of this successful book provides a survey of the foundations of the finance discipline. The authors covers the three major financial areas:  Institutions & Markets, Investments, and Financial Management, helping you develop an integrated perspective of the different foundations of finance. ... Read more

Book Description

The dramatic changes in the financial services industry have had a great effect on profitability, forcing financial institutions to change their management focus. Increased competitive pressures, tightening interest rates spreads and declining deposits balances have made goals even more difficult to achieve. The Financial Services Industries Consulting Practices at Ernst & Young LLP have developed this perfect guide to help readers reach those increasingly difficult goals. This reliable source of guidance has insight on asset/liability management, branch profitability and complete bank-wide performance program. It looks at all aspects of profitability, including hands-on approaches to: profitability philosophies and structures; balance sheet, revenue and expense components: transfer pricing of funds; planning and budgeting; performance measurements. ... Read more

Reviews (1)

Excellent, both on banking and project management aspects
This is the only book that covers all of the aspects of performance management in banking : 1. the analysis of performance measurement is very good even though, the coverage of financial data is overweight with respect to the rest of the book 2. the project approach is excellent and the various "pitfalls" described are so true that the people that wrote it necessarily had a good project experience, only problem is that the system architectures described did not evolve with the new edition (the word "data warehouse" is evoked once or twice) 3. As usual with this type of books, the "using the information" chapters are a bit a dry, even thought some interesting ideas are described regarding "customer information" In summary, a must read for any person trying to implement a performance indicators or Balanced Scorecard systm in its bank ("financial institutions" in the title is actually retail or commercial banking) PS : I am not an E & Y employee ... so this is not an advertising review ... Read more

Book Description

Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities.There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques, prepayment characteristics, and credit issues. This fast-growing segment also includes nonagency pass through, nonagency collateralized mortgage obligations, home loan equity-backed securities, and manufacture housing loan backed securities. ... Read more

Reviews (1)

NON-AGENCY MORTGAGE BOOK IS GREAT!
I REALLY ENJOYED READING THIS BOOK ON NON-AGENCY MORTGAGE CMOs.

IT HASBEEN WONDERFUL TO SEE THE NON-AGENCY MARKET EXPAND AND PROSPER DURING THEPAST FEW YEARS, ALLOWING BOTH DEALER FIRMS AND BUY-SIDE FIRMS TO BENEFITFROM THE VARIETY OF COLLATERAL AND STRUCTURES CREATED.I REALLY ENJOYEDLEARNING ABOUT NON-AGENCY CMOs FROM LEGENDS SUCH AS FABOZZI, RAMSEY,RAMIREZ,AND MARZ.

THANK YOU FOR PROVIDING THIS WALL STREET TOOL.I NOWKNOW ENOUGH TO BECOME A SIGNIFICANT WALL STREET PRODUCER, IF EVER GIVEN THEOPPORTUNITY.

IF THERE IS A NEXT EDITION, PLEASE CONSIDER MYSERVICES.

RICHARD T. MUDRINICH MUDRINICH@aol.com ... Read more

Book Description

Structured Credit Products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets.  The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralised debt obligations.

The book features:

• Detailed product descriptions and analysis
• Case studies on US, European and Asian transactions
• Latest developments in synthetic structures.

Written in an accessible style by an acclaimed author in the field of finance, this book is aimed at the entire banking, securitisation and fund management market. ... Read more

Reviews (1)

Concise and practical
In my view, Choudry's new book on credit derivatives and synthetic securization is simply the best book in the market (at the moment). The book is extremely readable, with fantastic examples using many illustrated examples of cash flows and samples of Bloomberg pages. The book targest clearly market practitionars, while it doesn't neglect aspects like pricings of those instruments (you don't need to be a quant to understand the technical part). The author begins with the basics of credit derivatives, it's use in the market, Basel I and II, market size etc. and leads to more and more detailed dicussions of how those new instruments are used (ink. termsheet examples). A huge amount of information comprised in a relatively small book of 400 pages.

Fantastic job Mr. Choudhry. Thank you! ... Read more

Book Description

This introductory text provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. M. Joshi covers the strengths and weaknesses of such models as stochastic volatility, jump diffusion, and variance gamma, as well as the Black-Scholes. Examples and exercises, with answers, as well as computer projects, challenge the mind and encourage learning how to become a good quantitative analyst. ... Read more

Reviews (4)

Good book on the basics
This book comes in between Wilmott and the more technical books.
And its by no means complete, if you want a more comprehensive treatment you may want to buy wilmott.
And if you need something more technical you should
get the book by Oskendal and/or Nielsen.

If you want to get an inexpensive book then go for this.

An outstanding book in a crowded field
In recent years bookshelves (and readers) have groaned under the weight of new First Courses in Mathematical Finance. There is, of course, a huge overlap in content and it is no easy task to write a book which is both better than its predecessors and genuinely novel. In both tasks Mark Joshi has succeeded admirably: this book deserves to become the leader in its field.

Finding the right level of mathematical sophistication is a difficult balancing act in which it is impossible to please all readers. Here, the author has had a clear vision that the principal audience is the practising or potential quantitative analyst (or quant) and writes accordingly; it is impossible to do better than taking an approach of this sort. Such a quant must have a certain minimum level of mathematical background (a good degree in a numerate discipline). By definition, this has to be assumed for a decent understanding of the material, but the author always has an eye on what a quant really needs to know. Integrated into this mathematical work is a good deal of information about how markets, banks and other corporations operate in practice, not found in more academically-oriented books.

The first half of the book includes the core material found in any decent first course on the subject including basic stochastic calculus, pricing of European options through discounted expectation under a risk-neutral measure, the Black-Scholes differential equation and so forth. Where this book really stands out, however, is the exceptional clarity with which the key concepts are separated. Not only are three different ways for deriving the Black-Scholes formula presented (through PDEs, expectation, and the limit of discrete tree-models) ; much more significantly, the different roles played by hedging, replication and equivalent martingale measures in enforcing a price are made crystal clear. In whatever way you already think about this material, you will almost certainly come away with something new from reading this treatment. In my case, for example, I gained a much greater understanding of why "risk-neutral" pricing is so called.

The second half of the book, roughly speaking, covers a selection of more sophisticated material. The major areas covered include interest-rate derivatives and models; and more complicated models for stock price evolution (such as stochastic-volatility, jump-diffusion and variance-gamma) that have been proposed to correct inadequacies in the Black-Scholes model such as its failure to explain market smiles. Once the core ideas have been so thoroughly explained in the first half, a great deal of interesting and diverse material can be covered rapidly yet with a great deal of clarity and coherence, relating the new models to core ideas such as uniqueness of prices and hedging issues.

Those with quantitative finance experience are still likely to find a good deal that is new and worthwhile in this book. And if you a thinking about becoming a quant, I cannot think of a better book to read first.

Most comprehensive
This is the most comprehensive and up to date textbook on quantitative finance that I have seen so far. Joshi is an excellent mathematician and an excellent quant. He knows finance like the back of his hand, and explains it very well.

A must read for anyone interested in mathematical finance
The modern paradigm within mathematical finance is the use of martingale
methods for the pricing of options; an understanding of it is
critcal not only to quants who use these mathematical tools on a day
to day basis, but also to risk professionals in general when understanding the
risks inherent in a new product. At present, however,
there are very few accessible texts that discuss this at a level that
is suitable for the (sizeable) interested audience; texts either do not
have adequate coverage of the martingale methodology, concentrating on the
older less insightful pde methods, or concentrate (too much in the
reviewers opinion) on mathematical rigour and
require a substantial understanding
of probability theory before one is able to understand and appreciate
the finance.

Mark Joshi's book fills this niche admirably: it is mathematically rigorous
where it needs to be, but more importantly "physically" insightful --- the
author takes considerable pain in assisting the reader in developing
an intuition both for the models used and the products that are
priced. However, the mathematics is all there; more importantly
for the finance professional there are details on how to implement the
various models described. Again in marked contrast to other texts available
the book includes a number of relevant exercises (with solutions) and
computer projects --- features which this reviewer welcomes.
The book is also to be applauded on the fact that
it does not end after a discussion of the Black Scholes stock case ! Instead
the second half of the book discusses, admittedly assuming a slightly higher
level of mathematical sophistication (but never beyond, what one would
expect of a good physical sciences/mathematics graduate), multiasset options,
the LIBOR market model, stochastic volatility and jump diffusion models.
This again is a key strength of the text, rendering these subjects far
more accessible to a wider audience.

In short this is a book which anyone who is interested in mathematical
finance should have on their book shelf. ... Read more

Book Description

The evaluation and risk measurement of portfolios of complex non-linear positions and non-normal risk factors has become a major nightmare for people working in the structured finance business. Dealing with "fat tails" and "smile effects", as well as the typical asymmetric shape of default risk has rapidly made obsolete the traditional linear correlation tools. In this new environment, the copula functions methodology has become the most significant new technique to handle the co-movement between markets and risk factors in a flexible way. This is the first book addressing copula functions from the viewpoint of mathematical finance applications. The method is to explain copulas by means of applications to major topics in derivative pricing and credit risk analysis, with the target to make the reader able to device her own application, following the strategies illustrated throughout the book. Examples include pricing of the main exotic derivatives typically included in commonly traded structured finance products (barrier, basket, rainbow options), as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

Copula Methods in Finance provides:

• Rigorous treatment of the mathematics of copula functions, illustrated with financial applications
• Complete analysis of estimation and simulation issues applied to market data
• Credit-linked structured products applications: CDO and basket credit derivatives
• Equity-linked structured product applications: barrier, rainbow and basket derivatives
• Counterparty risk in derivative transactions: vulnerable option pricing

Book Description

Overview: Foundations of Financial Management is a proven and successful text recognized for its excellent writing style and step-by-step explanations to make the content relevant and easy to understand.The text's approach focuses on the "nuts and bolts" of finance with clear and thorough treatment of concepts and applications.There is a strong real-world emphasis presented throughout.This edition represents the 25th anniversary of the text.Through 25 years, this text has definitely stood the test of time due to the authors' commitment to quality revisions.Block and Hirt know what works and what doesn't work for students, and they have consistently maintained a high quality textbook that is responsive to the demands of the marketplace.This edition is no exception. ... Read more

Reviews (7)

Foundations of Financial Management, 10th Edition
Delivery was terrific. I received the book 6 days after I ordered it and it's brand new!

Excellent Finance Starter
This book is very easy to follow and serves as a good reference for more advanced finance classes.

Very Good, But Not Excellent
As an undergrad taking his first finance class, I have have found this book to be quite useful. The concepts are explained in simplified, less-complicated ways and make reading each chapter less frustrating than perhaps some others (compared to some of the econ texts that I have had to use!).

It is well-written, concise, and employs some very straightforward, easy-to-follow graphs/diagrams. Also, both the formulas and the exercises at the end of each chapter are quite useful.

The only reason that I did not give it a 5-star rating is because some of the chapters did not use enough "real-world examples" or hypothetical situations in some of the more challenging lessons. This might better aid those students who are new to finance or simply need another angle to better grasp the idea.

A comprehensive, well-written finance textbook
This text is characterized by its extreme simplicty in explanation and presentation of its material. The flow of presenting the contents of each chapter is so sequentially logical that it makes the reader grasp the financial concepts very fast and effectively. Colorful illustrative diagrams are employed extensively to facilitate a high level of understanding and help the learner develop the necessary conceptual links between inter-related topics and items. In addition, it is very comprehensive and intensely supported with a "luggage" of real-life cases .I recommend this excellent text to everyone who needs to take an introductory course in corporate finance.

Great Book
When it comes to Principles of Finance textbooks, readers have many options from which to choose. I've read dozens of finance textbooks and have yet to find one that tops Block & Hirt. This book is written at a level that anyone can understand and still provides a depth of coverage sufficient for a complete understanding of the discipline at an "undergraduate" level. I particularly enjoy the "balance sheet" approach taken by the authors, which is a direct contrast to many of the competing textbooks. I also appreciate the consideration given to working capital issues; a topic frequently neglected or pushed aside by other textbooks.

The examples are easy to follow, and the authors provide extensive summary and practice problems for readers to test their understanding. I've taught from a number of textbooks and have found this book to be the one that students respond to best. As is true for many disciplines, those who are unwilling to actually "read" the book or put forth any effort will struggle mightly with this material. In such a case, the fault does not lie with this particular book. ... Read more

Amazon.com

Ugly Americans documents the "Wild East" of the mid-1990s, where young, brilliant, and hypercompetitive traders became "hedge fund cowboys," manipulating loopholes in an outdated and inefficient Asian financial system to rake in millions. Using a concept called arbitrage, they made their fortunes mainly on minute shifts in stocks being sold on the Nikkei, the Japanese stock market, collapsing banks and nearly bankrupting the Japanese economy in the process. Other schemes were also concocted, most of which were technically legal, though certainly unethical. This true story revolves around "John Malcolm," who, in exchange for anonymity, agreed to give Ben Mezrich all the access and information he needed to write this book. As a recent Princeton graduate in the mid-1990s, Malcolm accepted an undefined job offer from an American expatriate in Japan to work in the investments field. Though he had no prior experience, he facilitated 25 million dollars worth of trades on his first day on the job, and it just got more exciting from there. He soon joined a small group of expatriates, all in their twenties and mostly Ivy League graduates, who lived like rock stars, thriving on the stress and excitement of their jobs to create their own steroid versions of the American Dream half a world away. Mezrich tells this riveting story well, incorporating elements of the culture into his narrative, including the infamous and pervasive Japanese "Water Trade," or sex business, romantic intrigue, and even run-ins with the Yakuza, the Japanese mafia. Though there is little real analysis of their financial dealings and how they ultimately changed the rules of finance in Asia, this entertaining page turner does offer a glimpse into a world little explored in print until now. --Shawn Carkonen ... Read more

Reviews (51)

LIved in Japan and this book is a good first step
I agree some of the details are faulty and things of this sort, but for a entertainment read this book is very good. I also think if you had no influence from Asia this book might be a eye opener and help you get interested in the region.

Disappointing
Having lived and worked across Asia within multiple industries (including finance), I eagerly awaited this read.Unfortunately, I found the same old clichés on Japan and Capital markets. It takes years to really understand the region so fault to the author, but for something less glammed up and exoticised, (yet also based on a true story), I might suggest Clissold's, "Mr. China." Better yet, spend some serious time in Asia. It will pay off for you in the next century.

Just Ugly
I was excited to read this book: 1) the same author as the compelling Bringing Down the House, and 2) a plot about hedge funds -- a topic of personal and professional interest to me.The excitement dwindled fast.
Ben Mezrich is a very average writer.He tries too hard at times to describe a different world, only to lose all crediblity in the eyes of those actually familiar with that world.He doesn't trust the imagination (or intelligence) of his reader, whom he constantly talks down -- perhaps a Harvard-learned trait.
Mezrich needs to get over his lovefest for Ivy league schools and their students.People who attend the Ivies are smart, but so too are the students of another 50 or so US institutions.It gets sickening after a while to read his constant, self-congratulatory fawning over the Ivies.(For the record, I have met far fewer people in the hedge fund world from the Ivies than I have from schools like UVA, Michigan, and Chicago.)
The plot of Ugly Americans seems very forced.If someone had told me this story over dinner, I certainly wouldn't have felt compelled to turn it into a book or a movie.The details don't hold together at all, and even if they did, they wouldn't be fascinating either to those versed or unversed with hedge fund strategies.
Overall, this book didn't disappoint me strictly because of Mezrich's superficial understanding or explanation of hedge fund strategies.It disappointed me because it is poorly written and weakly characterized.It disappointed me because it wasted my scarcest resource, free time.It disappointed me because I really did enjoy BDTH, but now my view of that compelling read is tarnished too.

A Good Read
I dont know how accurate some of the minor details of this book are as some have mentioned "full ride to ivy league schools etc.) but regardless I really like this authors writing style and usually read his books all the way through because they are very well done as far as capturing and keeping your attention.

Good read; could have used more technical details
Although Mezrich embellishes the characters enough to make an exciting semi-fiction story, I was very interested when the actual topics of hedge funds and arbitrage were breached. Yet, Mezrich seemed to make little effort to explain these in anything more than basic terms. Considering that the book is based on the exploits of high finance, I wish there was more in-depth analysis. Still, it is an intriguing book and a fast-paced read. ... Read more

Book Description

Praise for Energy and Power Risk Management

"Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals."
–Helyette Géman, Professor of Finance
University Paris Dauphine and ESSEC

"The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals."
–Vincent Kaminski, Managing Director
Citadel Investment Group LLC

"Eydeland and Wolyniec’s work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market."
–Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading

"This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation."
–Ron Erd, Senior Vice President
American Electric Power ... Read more

Reviews (3)

Good overview
The management of risk in the context of energy or weather is quite different than in other contexts, due to the peculiarities of the data that occurs in energy prices. The high volatility of energy prices can range, as the authors of this book point out, between 50-100% for gas, to 100-500% for electricity. No doubt this kind of volatility, and other properties such as correlations and mean reversion, entails that some different mathematical strategies for modeling energy derivatives be devised. The authors give a good tour of some of these strategies, and anyone interested in energy derivatives will gain a lot of insight into their modeling when reading this book. Due to space constraints, only chapters 5 and 7, which this reviewer considered the most important of the book, will be reviewed here.

In chapter 5 the author presents techniques for energy modeling that go beyond the used of the convenience yield by using forward pricing techniques. The goal is to describe the dynamics of future contract prices that takes into account the correlations with other futures, and not on the price evolution of a single contract. Thus it is the 'forward curve' that is relevant for obtaining a useable model for derivative cash flow. The HJM model is presented as one of these, with changes in the forward curve over a particular time interval represented as a linear combination of random perturbations. For energy markets, each perturbation is specified by a deterministic shape function multiplied by a Gaussian factor. The unobservability of the factors determining the forward curve evolution makes the use of historical data mandatory if the parameters are to be estimated. But lack of sufficient historical data and its nonstationarity complicate this estimation. The authors discuss the Schwartz-Smith multi-factor model as an example of a forward curve dynamics model and give some solutions. They then move on to a model that specifies the dynamics for only the contracts that are actually traded, which in the literature are called 'market models.' The model they actually discuss is a multivariate geometric Brownian motion representation of the forward curve dynamics, where the volatility and drift functions are linear functions of the forward prices. The authors then derive the 'discrete string models', where it is assumed that the number of factors is equal to the number of contracts, and the random factors are governed by ordinary Brownian motion. String models are represented as having the advantage of being able to directly observe the factors in the historical data. The authors apply string models to multi-commodity cases, and discuss an example for monthly forward prices. They show how to match the current forward curve, the option prices, and the correlation structure for this model.

The discussion in chapter 7 revolves around finding better models for the dynamics of power prices that capture the special properties of energy prices, such as mean reversion and seasonality, and the need for stable models. They therefore introduce 'hybrid models', which they claim give a more natural representation of the dynamics of power prices, make use of nonprice forward-looking information, and can take the historical data on power prices and then extend it to information on fuel prices, outages, etc. The construction of these models is based on the use of nonlinear transformations on a collection of random variables. The random variables are essentially the system demand, natural gas and oil price, outages, emission prices, and weather at a particular time. The power price then can be written as a function of the dynamics of these factors, the latter written by the authors in terms of the corresponding tradables. Recognizing that hedging cannot be done on some of these factors, they adjust the power price formula so that the power tradables, i.e. the forwards and option prices, are exactly matched. This matching transformation is chosen so that if the forward contracts and options are priced using the adjusted formula, one recovers the exact current prices. The model, as the authors summarize it, is an attempt to explain the behavior of the tradables in terms of the evolution of the underlying factors and static adjustments to the terminal probability distribution. Historical information on the tradables and spot products is not used to calibrate the model, but it is used to validate the model. The authors distinguish between 'reduced-form' hybrid models, where the transformation is calibrated from the historical prices, and 'fundamental' hybrid models, where the transformation is calibrated from the market structure and is only tested on the historical prices. The authors discuss an example of a reduced-form hybrid model that is heavily parametrized, but has the advantage of using price data more efficiently. The rest of the chapter concentrates on fundamental hybrid models, with the author first discussing how power prices are formed in competitive markets. They consider a typical pool market, with the price determined via auction mechanisms. The authors then try to identify and characterize the underlying random variables that actually affect power prices. The time series for the price of power is written in terms of the demand using a 'bid stack' function. The bid stack function is approximated by a 'generation stack' that is found for a given time by sorting generation units by their generation costs. This approximation is checked by comparing the marginal generation costs generated by the generation stack with the distribution of power prices determined by the time series via the bid stack. There should be agreement in both approaches between the higher order moments. This comparison forms the basis of the authors' hybrid approach to modeling power prices. A transformation is found which relates the marginal generation costs to the distribution of power prices with the requirement that the prices of market instruments used for calibration are matched, and the higher moments are (approximately) preserved. The transformation is not unique, and in fact a family of transformations induced by the multiplication and stack scaling operators can be found.

Excellent subject treatment
Until now there were a handful of papers, precious few books, and mostly inside proprietary models and experience that dealt with the complex subject of power trading and all its flavors. This book provides a nice summary of many of the present issues. The treatment of the subject is somewhat mathematically rigorous, so the book might not be for traders as much as it is for quants or risk managers.

To me, the greatest strength of the book lies in its fairly detailed analysis of what DOESN'T work, i.e. why common models and methods from the financial and other commodity realms can not be successfully grafted onto the energy market without risking significant valuation and cash flow prediction errors. The hybrid model they formulate towards the end of the book is very similar to Skantze and Ilic (2001). The departure from most previous models is that they attempt to use the markets to formulate and calibrate the structure instead of relying too much on past historical price/load data, which without some empirical understanding of the underlying processes, is fraught with danger due to rapidly evolving nature of the power market (or at least once rapidly evolving--it seems to be a little static at the moment).

Some familiarity with the market and stochastic/statistical mathematics is assumed. References to specific topics and more in depth analysis of particular subjects are good. The authors have a grip on real-world trading, risk, and cashflow issues, which makes this a useful reference for just about anyone associated with those aspects of the power market. I recommend it.

excellent book
Extremely well written and right to the point, with the appropriate level of technical detail, Eydeland and Wolyniec's Energy and Power Risk Management is arguably the best book on the subject. A must have for every professional in the industry. ... Read more

Book Description

Balanced coverage of the methodology and theory of numerical methods in finance

Numerical Methods in Finance bridges the gap between financial theory and computational practice while helping students and practitioners exploit MATLAB for financial applications.

Paolo Brandimarte covers the basics of finance and numerical analysis and provides background material that suits the needs of students from both financial engineering and economics perspectives. Classical numerical analysis methods; optimization, including less familiar topics such as stochastic and integer programming; simulation, including low discrepancy sequences; and partial differential equations are covered in detail. Extensive illustrative examples of the application of all of these methodologies are also provided.

The text is primarily focused on MATLAB-based application, but also includes descriptions of other readily available toolboxes that are relevant to finance. Helpful appendices on the basics of MATLAB and probability theory round out this balanced coverage. Accessible for students–yet still a useful reference for practitioners–Numerical Methods in Finance offers an expert introduction to powerful tools in finance. ... Read more

Reviews (1)

Too much introductive
Since there is few books on financial application of Matlab, I would say that Mr. Brandimarte has done a good pretty good job. I liked especially the fact that the book covers many topics (bond pricing, derivatives, optimization), however, even if the title says "an introduction", it is still too much introductive and you don't get a grip on the amazing capabilities of Matlab. This book is suitable for people discovering Matlab and Finance at the same time. ... Read more

Book Description

Interest Rate Models Theory and Practice In implementing mathematical models for pricing interest rate derivatives one has to address a number of practical issues such as the choice of a satisfactory model, the calibration to market data, the implementation of efficient routines, and so on. This book aims both at explaining rigorously how models work in theory and at suggesting how to implement them for concrete pricing. This is an area that is rarely covered by books on mathematical finance. The book is meant both to help quantitative analysts and advanced traders price and hedge with a sound theoretical apparatus, and to encourage academics to develop a feeling for the practical problems in the interest rate market that can be solved with the use of relatively advanced tools of mathematics and stochastic calculus in particular. Advanced undergraduate students, graduate students and researchers should benefit from seeing how mathematics can be used in concrete financial problems. ... Read more

Reviews (6)

Best book on interest rate models
This is the best book available on interest rate models. Very detailed. Much more focused and readable than Rebonato's book. More pragmatic and explicit than Musiela and Rutkowski. Not as theoretical as Hunt and Kennedy. James and Webber also looks very good, but I'm not that familiar with it. All other books have only bits and pieces on interest rates.

The best book I have read on the subject
With all the due respect to the other authors I would say that if one is interested in a good theoretical book whihc is also good on the implementation side then the book of Brigo and Mercurion is definetly the best book I have ever read on the subject.

Anyone interested in implementing the LMM/BGM/MSS model in practice is well advised to read it.

I would just say that this is certainly a must have in the field.

New stuff and nice overview: hard to beat!
In the late nineties I went through Brigo's innovative work on stochastic nonlinear filtering with differential geometry techniques. I was favorably impressed by results and style, particularly in his dissertation and in his 'geometry in present day science' very readable overview. Interesting results are found and nicely told with accurate - but not pointlessly complicated - advanced mathematics for the problems at hand, I reasoned.

I've followed a similar path from control to finance, and having worked with interest rate models, I couldn't help but order this Brigo-Mercurio book. I had high expectations 'cause these two guys are working in a bank on the real thing.

Sure enough I'm not disappointed.

1-factor models are handled with great care, a ton of formulas and recipes are given. I've never seen this kind of analysis of pricing with Gaussian 1-f models. The new upgrade of the CIR model is interesting and accurate. "CIR++" is now my favorite 1-f model. I like the treatment of lognormal 1-f models and the explanation of Monte Carlo and trees -- the flow-chart for Bermudan swaptions is crystal clear! Plots of market implied structures and volatility calibration are useful additions.

The chapter on 2-f extensions has one of the best discussions on volatility, and two tons of useful formulas/recipes. Two dimensional trees!

The HJM chapter size is OK. I agree - the useful models embedded in HJM are short rate models and market models.

Market models - these three chapters alone are worth the book. You'll find yourself nodding as you read the guided tour. They make it look easy all the time. The exposition is focused, clear, intuitive, detailed. There's also new stuff, just check the calibration discussion! Smile modeling begins with a brilliant tour and ends with Brigo-Mercurio's new approach - the mixing dynamics - deserving a whole chapter if expanded.

The detailed explanation on products is a much welcome original addition. Cross currency derivatives!

Quotes - as in Brigo's old work - are a pleasant diversion while reading. The 500 and more pages are a treat given the competitive price.

Still there's room for improvements - more "CIR2++"! Something on 3-f models. Historical estimation of the correlation matrix and low-rank optimized approximations. Expand smile modeling! More hedging. Something on structured products. Cross currency libor model. chapter 9 - other interest rate models - sounds out of place and can be suppressed for other things.

This book rings true and has useful teachings for students, academics and practitioners. Although it requires some background in stochastic calculus, it's hard to beat on the pricing front. Kudos to Brigo and Mercurio! It only harms there aren't enough books like this.

Nicely written overview of interest rate models
This recent book, written by two Italian "quants" Mercurio & Brigo, gives a nice and accessible overview of interest rate models which is a compromise between the practitioner viewpoint, expressed for ex. in Rebonato's book "Interet Rate option models"
and the theoretical viewpoint such as the one in Musiela & Rutkowski.
The authors, themselves PhDs in quantitative finance/ applied maths, wrote this book while working as quants in an Italian bank and this first hand contact with the market gave them a
practical view on the subject which markes this book very interesting.

The book contains a "rational" catalogue of models used in practice ( as opposed to models which are impossible to implement!).

In contrast with academic books on interest rate modeling which deal with HJM formulation, there is a lot of emphasis here on LIBOR and Swap market models
(BGM -Jamshidian models) which reflects the current market practice. This is a positive point since there are not many books with details on implementing and using these "market models".

Part II: Interest rate models in practice is particularly useful because it deals with implementation and calibration which, as any practitioner knows, are important and usually delicate issues.
However calibration issues are dealt with somewhat lightly, especially recent developments on modeling cap/swaption smiles
are not included here.

This book can also be used for a graduate level/PhD course on interest rate models.

There are a lot of numerical examples in the book and mathematics is kept to the necessary level while keeping the
approach both rigorous and understandable.

Overall, it is one of the best books written on the subject.
I highly recommend it to PhD students, quants and researchers interested in this field.

Well written and useful book
In my humble opinion, this is the best book on Interest Rate modeling out there. The writing style is clear and focused and the appendices are fantastic. The book is rigorous but someone with some background in Stochastic Calculus will find it easy to follow. If you need refresher, dont worry the authors have you covered, see the appendix on Stochastic Calculus. Not an introductory book. Very exciting book. ... Read more

Reviews (3)

Much Better Than The 9th Edition
I have been a fan of Lawrence J. Gitman's writing style for years. His approach to finance is simple to understand & this is very beneficial for both students & teachers. The 10th Edition of "Principles of Managerial Finance" (Hardcover) has the following improvements:

a. Calculation of "n" in the chapter of "Time Value of Money"
b. Adding the "Free Cash Flow Valuation Model" in the chapter of "Stock Valuation"
c. Adding "Strategic Net Present Value (NPV)" in the chapter of "Risk & Refinements in Capital Budgeting"
d. Having two (2) "Time Value of Money Tables":
d.1. more detailed tables (in terms of more "i"; note: "i" was formerly "k" in the 9th Edition) located at the back of the book
d.2. tables, printed on thick paper, located at the front of the book that is perforated (can be pulled out)
e. Up to date real world examples
f. Better presentation of the topics, notably the topics on Bond & Stock Valuation
g. The Hardcover Edition includes an Excel-based student software on the book's Companion Web Site valid for six (6) months upon activation.

The book comes with a CD-ROM. The exercises have topics listed before them. This is beneficial both for students & teachers (students can EASILY practice what they've learned while teachers can give assignments by simply browsing the topics).

This is an outstanding basic finance book & I haven't found another one that's better. However, outstanding as this book is, there is still room for improvement. My suggestions are:

a. Explain "deferred annuities" (both for ordinary annuity & annuity due)
b. Present the computation of "i" & "n" using algebra (in addition to using the methods presented in the book)
c. Include the process of interpolation in the book proper
d. Fully discuss the "Average Rate of Return"(ARR), "Discounted Payback Period" (DPP), & "Modified Internal Rate of Return" (MIRR) in the chapter of "Capital Budgeting Techniques"
e. Better explain the "Earnings Before Interest & Taxes (EBIT)-Earnings Per Share (EPS) Approach" in the chapter of "Capital Stucture"
f. Correct the error (I believe this to be an editing error) on the formula for standard deviation (Equation 5.3a, page 222, footnote section)
g. Include a "Challenging Exercises Section" for every chapter where the problems are more complex & the topics are NOT stated before them
h. Increase the six (6) month student subscription to the book's Companion Web Site to one (1) year.

Overall, I highly recommend this book to anyone who wants to learn basic finance. This book is well worth buying & KEEPING.

Great Finance Book But Could Still Be Improved
This book, "Principles of Managerial Finance" (9th Edition), is an excellent finance book. It explains financial concepts in an easy-to-understand manner. Gitman gives you a step-by-step guide to understanding finance. Gone are the days when one dreads reading a finance book because of complexity. You'll actually look forward to reading this book. However, there are some items that need to be added/fully explained in the book itself (like how to interpolate, finding the number of periods in the time value of money, calculating free cash flows in valuation, etc.) & there are things that need to be clarified in the cost of capital & capital budgeting techniques sections. Nevertheless, it is still a great book well worth buying.

College Text
Having struggled through many finance courses this text truely brought the area of finance into a much clearer perspective for me. It provides a lot of general knowledge about the field and as a stand alone text is very useful. However, the assignments that accompanied the text definitley lacked substance and did not prove to be worthwhile. ... Read more

Book Description

This greatly expanded new edition of Joël Bessis' seminal work Risk Management in Banking has been comprehensively revised and updated to take into account the changing face of risk management. Extensive new material has been included to reflect new developments in the field and to broaden the scope of the work.

Risk Management in Banking Second Edition examines all aspects of financial risk management in banking, from global considerations right down to the fundamental aspects of the management of a particular profit centre. The author emphasizes the need to understand conceptual and implementation issues of risk management and examines the latest techniques and practical issues, including:

• Value at Risk (VaR)

• Asset Liability Management (ALM)

• Credit Risk

• Interest Rate Risk (IRR)

• Funds Transfer Pricing

• Credit Derivatives

• Market Portfolio Risk

• Capital Management

• Loan Portfolio Models

Reviews (5)

technical but with errors
It's easy to find what you need. If you are accessing the topic from scratch, it has some noisances you wouldn't like too much. There are many errors and also some sentences are not clear at all. One example? "Either the sovereign rating is one notch lower than the sovereign ratings, or it is the internal bank rating." Are you OK?

Great intro, but a bit repeatitive
Bessis' volume is an elementary introduction to the basic "concepts" of risk management in banking. This is by no mean a technical book and should be accessible to most people with high school maths background. Judging on the capacity to explain basic ideas in layman's term, this is an excellent book!

However, the author seems to be a bit repeatitive and some basic concepts are to be repeated a few times throughout the book. I find it annoying but others might well find it a desirable feature for a "textbook". On the other hand, although the book is full of diagrams and illustrations, a small number of them are quite puzzling, e.g. contain symbols which are nowhere defined and is probably up to the reader to guess!

Anyway, if it is the first book you'll ever read on this subject, I believe it is an excellent choice!

good overal beginner reference to risk management in banking
The book is very well structured and I think and excellent introduction to the risk management in banking. I bought this book as hope to give me some more detailed presepective of risk management, but after reading it I think it should be used as a side reading reference to finance courses that some of the universities offer today in risk management or financial engineering. The author covers almost everything that we should know in risk management if we are new to it. However, if you are more experienced with finance or risk management I think this could be potential waste of money. I also think that the book has a bit high price for what it offers.One of the main reasons is the fact that the book is written in an elementary/intermediate form. Even as an elementary/intermediate level book I think that there should have been more examples or applicable activities that one can acctually see how some aspects of risk management are applied in the real world. Yes, there are some examples but not to an extent as there should be especially in the field as risk management and finance, where more and more people read these kinds of books in order to see or find how they can apply the information in the book to some real time activities in the financial market or corporate institution.

If you are looking for some more concrete text with some serious derivation of mathematical formulas for finance and risk management, or some more detailed presentations (more complex to read) I think you should then consider buying some other book.

Structured well
The concepts are structured quite well and could serve as foundation for further studies in this area.

Excellent, but Overpriced, Reference on Bank Risk Management
This is an excellent book which I have found to be very useful. The book gets 5 stars for its content. The negative is that the book is overpriced, particularly when the publisher released a paperback version priced at less than half the price of the hardback version shortly after the hardback was published - hence the lower rating. ... Read more

Book Description

PRAISE FOR THE WARREN BUFFETT WAY
FIRST EDITION

"Nobody has described what Buffett practices better than Hagstrom."
–Time

"Simply the most important new stock book . . . If you think you know all about Warren Buffett, you have a lot to learn from this book."
–Forbes

"It’s first rate. Buffett gets a lot of attention for what he preaches, but nobody has described what he practices better than Hagstrom.Here is the lowdown on every major stock he ever bought and why he bought it.Fascinating."
–Fortune

"Almost anybody curious about the relationship between the behavior of economics, the performance of firms, and the ups and downs of the stock market will find something of interest here."
–The Economist

"The Warren Buffett Way is accessible to average readers because Mr. Hagstrom reduces the billionaire’s techniques to some easily understandable tenets . . . the book demonstrates the rewards that can come down the road."
–The Dallas Morning News ... Read more

Reviews (45)

Belongs on the list of all time investment classics.
Other reviewers have written that this book is undervalued and they are right. Right from the start Hagstrom gives us advice on the nature of the market. He then gives management tenants, how to value a business and all kinds of investment tenants. These tenents are so fundamental that its very difficult to see how investing can be done without them in one form or the other. This makes the book timeless. Numerous examples are given from real world cases of how these tenants are used. There is also an excellent appendix that gives examples of how a business is valued. This is very helpful. Some reviewers have criticized Hagstrom, saying that if the book is true, why isnt he rich? But this is not how information is to be judged. There are many books that contain solid gold advice, but there are few who master them. Buffett is among them. If one wants additional information on Buffets methods, I suggest reading "How to pick stocks like Warren Buffett" by Tim Vick. But The Warren Buffett Way is a classic and at the top of the heap.

one of the most popular investment reads
This book is for anyone whether you are trying to understand investing for the first time or an experienced investor refreshing yourself with the principles of fundamental analysis. Hagstrom answers all the questions of what makes Buffett one of the most successful investors of our time. He talks about Buffett's childhood as a boy ambitious to turn a profit in selling Coca Cola as well as his philosophy behind which he makes his decisions on buying a particular stock. The refreshing part about investing like Buffett is whether you buy millions of dollars worth of stock or just a few shares of stock, you can still use the same principles that Buffett uses in making a decision. The methods are straight-forward and bring common sense approach to picking stocks. In it you buy stocks as if you were buying groceries and not as if you were buying perfume. It is not even necessary to know any complicated formulae about how to determine the value of a stock although some elementary math is required. If you only had to pick one book to read about investing and burn all the other books I would recommend this book. It is more informative that many other textbooks out there read by college students filled with unnecessary math and financial theory.

Worth the read
Forget B-school, read this book. Seriously, a great introduction to value investing and the Buffett mentality of risk.

Hagstrom's analysis is very easy to read and understand... a book everyone should read.

What if Mr. Market goes really crazy?
If you are reading this book just to be better informed, I think you will get your money's worth. I feel I got a five-star education. But if you are going to read it to make a decision to buy or not to buy Berkshire Hathaway, you should keep these two points in mind: First, almost everyone considers Warren Buffet to be the world's greatest investor. This special attribute of Mr. Buffet might be reflected in the price of Berkshire Hathaway stock. If Warren Buffet were no longer around, what would that do to Berkshire Hathaway? Hasn't Mr. Buffet's greatness built in a premium in Berkshire Hathaway stock?

Second, this book proves that Mr. Buffet beat Mr. Market most of the time under normal circumstances. In abnormal circumstances, Mr. Market could beat Mr. Buffet. Abnormal circumstances would exist if Mr. Market went into a long, deep depression (like he did in the 1930's and dropped in value by 90%). And could a second terrorist attack similar to 9/11 cause Mr. Market to panic and create abnormal circumstances in the economy?

No matter how good the company, Mr. Market can and will hurt the value of its stock. If there is another terrorist attack like 9/11, Mr. Market will panic and Coca Cola, Washington Post, GEICO, etc., would all suffer terribly.

Once Again, Take It With A Grain of Salt
I am not Warren Edward Buffett. Unlike Mr. Buffett, who has the delightful headache of trying to figure out where to put his steadily growing billions, I am a non-investor, sitting on the sidelines, wondering what all the fuss is about. Like most readers of this book, I have been told incessantly to invest for retirement, and not knowing exactly how I should do so, I figured it might be a good idea to glean a few secrets from a proven successful investor. Hence, I read The Warren Buffett Way from cover to cover, hoping to learn a few things.

And what did I learn? I learned that I am not Warren Edward Buffett. Unlike Mr. Buffett, whose circle of associates includes all of the Beautiful People of Corporate America, I am surrounded by ordinary people, more than a few of whom are looking for a way to get rich quick. Whereas Mr. Buffett is patient and thoughtful with his investments, most of the people I encounter are thoughtless and reckless with their gambles. These two things, which I increasingly began to ponder as I read this book, distinguish me from the Oracle of Omaha, and quite possibly from most readers of this book.

The book consists of nine chapters, and is mostly historical in nature. It details many of Buffett's past exploits in the stock market, mostly the good moves but also some bad ones, and offers some of the principles guiding Mr. Buffett's stock investing strategy, grouped into three classes called Management, Financial and Market Tenets. The first four chapters of the book delve into the early history of Berkshire Hathaway, the key influences on Mr. Buffett which helped to shape his investment philosophy, Mr. Buffett's perspective on the financial markets, and the principles by which he goes about purchasing a business. The last five chapters of the book give example after example of some of Mr. Buffett's past stock moves, and tries to show his Tenets in action.

The style of the book is mostly active until the fifth chapter, whereupon it becomes plodding. The book is extremely repetitive at points, and as other reviewers have pointed out, key concepts are not fully explained up front, suggesting that the possible target audience for this book are those having a strong background in the general principles of economics and business.

In all honesty, I have previously encountered most of the content of this book in coursework or self-study. I previously read Mr. Hagstrom's The Warren Buffett Portfolio, and found the two books to be similar in some respects. That said, I still found this book to be very interesting and useful, primarily because it exposed me to an investment approach which utilizes these concepts in ways I had not previously considered. I also found it highly interesting on an anecdotal level, given that Mr. Buffett's investment career spans The Go-Go Years, The Nifty Fifty Stocks and the 80s and 90s Tech Stock Boom, and yet he never once participated in these tech-stock manias but handily outperformed tech stock investors nonetheless.

Like I said, I am not Warren Edward Buffett and I can not expect or even hope to do what he does, but that does not mean that I can not think like him. Even Mr. Buffett cautions the small investor in this regard, as there are things that he can do that none of little guys can do. Yet, he also has said that there are things the little guy can do that he can not do. That said, the book deserves to be read by any one lacking the ability to reason through the process of investing. However, readers at all levels should not stop with this book. Others have pointed out that one could get even more information straight from the horse's mouth- the Berkshire Hathaway website.

On the other hand, as this information details past moves for which the conditions surrounding them are most unlikely to come around again, I believe that the more astute reader looking to learn more should consult The Money Game by Adam Smith for a brief historical look at financial foolishness (albeit the late sixties but the resemblance to Right Now is striking), The Theory of Investment Value by John Burr Williams for Buffett's original basis for valuation, and The Intelligent Investor by Benjamin Graham for a more detailed explanation of the concepts of margin of safety, intrinsic value, and the benefits associated with ignoring the market noise. These three books will help one learn how to reason through the investment problem, as this is the most important step, aside from finding smart people (as Mr. Smith admonishes forcefully in The Money Game and Buffett has consistently done) and thinking more but acting less (as Buffett has said- do a few things right and screw everything else). ... Read more

Book Description

This widely respected financial accounting text captures the predominant market share among graduate, MBA, and higher-level undergraduate programs. With great clarity, it presents both the basic concepts underlying financial statements and the terminology and methods that allow students to interpret, analyze, and evaluate actual corporate financial statements. ... Read more

Book Description

Swing trading is gaining popularity as a powerful method to increase returns—and potentially lower risks—by profiting from short-term price moves. The Master Swing Trader explains how traders can use technical analysis, charting, and market sentiment to make trades that hold through price fluctuations and noise with wider stops. This complete, practical guide to making profitable short-term trades—based on the author’s popular “Mastering the Trade” online course—uses dozens of charts and graphs to illustrate proven swing trading concepts and strategies. Experienced day, position, and online traders will benefit immediately from: - The 7 Bells – unique tools to uncoverpromising short-term prospects - Techniques to profit from low-risk short sales- The 4 repeating cycles for perfectlytimed trades ... Read more

Reviews (212)

A good book beyond the apprehension of the mass
Seldom on Amazon a popular book (with 187 reviews utd) carries so extreme comment as this. I fully understand so because I did have negative feeling of it, which only improved gradually from page to page. In the beginning, the book really seems so complicated, full of jargons, candlestick charts elaborating on chart patterns with little reference to oscillator indicators like MACD, Stochastics, which I personally believe the alignment of several of them to be a prerequisite for any profitable trade. In the end, I realized that if I didnt put so much emphasis on the words "Swing Trading" and its virtual difference with "Momentum Trading" which the author criticized much, this book is not so bad when considered to be a general trading book with above average practical advice.

Amongst others, I found the following so called 7 Bells, tools to locate outstanding opportunities most interesting.

1. Dip Trip - Price that moves against a strong trend will rebound sharply
2. Coiled Spring - Constricted price gives way to directional movement
3. Finger Finder - Candles flag reversals in the next smaller time frame.
4. Hole in the wall - Gap downs after strong rallies signal a trend change
5. Power Spike - High volume events print the future diretion of price (Big volume kills a trend)
6. Bear Hug - Weak markets drop quickly after rallying into resistance
7. 3rd Watch - Breakouts through triple tops signal major uptrends

In a word, this book is quite a helpful tool of reference amidst the competitive life of trading which regular glance of its graphs do help much to refresh one's mind. Complex, time consuming but well worths the price.

Read it and Loved it
I would like to strongly recommend this book to everyone. I have been trading stocks for about 4 years and read almost every book written on trading. This book covers so many important elements of short-term trading, including patterns, indicators, psychology, cycles and execution. It doesn't only touch upon these issues but explains them thoroughly with excellent illustrations, I counted over 180 of them. If you're anything like me, you will appreciate all of the charts as visual aids for the teachings in the book.

I also found it to be very well organized. The ear